不同类型主体对大豆期货价格波动的影响分析——基于向量自回归(VAR)模型

A VAR-model-based analysis of the impact of different types of traders on the price fluctuation in soybean futures

本文基于2003-2011年CBOT大豆期货价格的月数据,运用向量自回归(VAR)模型考察了不同类型主体与整个期货市场对大豆期货价格波动的影响及程度。结果显示:非商业净头寸为代表的投机力量对大豆期货价格起到了一个正反馈的推动作用,而商业净头寸变动对于大豆期货价格的影响较小,长期内几乎没有影响;在考察期的前4个月,总持仓量对大豆期货价格起到了一个使其稳定的负反馈作用,但随着时间的推移,投机带来的正反馈较之期货市场不同类型主体的负反馈效应更占据主导地位,总持仓量对大豆期货价格起到正向反馈推动作用,推动大豆价格的大起大落,进一步证实,投机因素是大豆期货价格大幅波动的主要原因。

Based on the monthly data of soybean futures prices on Chicago Board of Trade,this paper discusses the impact of different types of traders on the soybean futures price fluctuation with the vector auto-regression(VAR) model.The results show that non-commercial net position typical of the speculation plays a role of promoting apositive feedback,while the commercial net position has little or even no effect in the long term;in the first four months of the study,gross position plays a role of negative feedback and helps stabilize the price;as time goes by,however,the positive feedback effect caused by speculation becomes dominant other than the negative feedback effect caused by different types of traders in the futures market;gross position plays apart of promoting positive feedback and causes soybean price fluctuation.The study confirms that speculation is the main reason for the price fluctuation in soybean futures.